The aim of this paper is to obtain some statistical properties about runs of daily returns of ISE30, ISE50 and ISE100 indices and compare these results with the empirical stylized facts of developed stock markets. In this manner, all time historical daily closing values of these indices are...

The capital asset pricing model (CAPM) shows that there is a positive relation between investment risk and expected return. However, empirical studies find that excessive financialization that firms invest in a high proportion of financial risk assets will have a significant negative effect on...

Throughout the current COVID-19 pandemic, governments have implemented a variety of containment measures, ranging from hoping for herd immunity (which is essentially no containment) to mandating complete lockdown. On one hand, containment measures limit the spread of the disease, controlling the...

This paper examines the relationship between broker network connectivity and stock returns in an order-driven market. Considering all stocks traded in Borsa Istanbul between January 2006 and November 2015, we estimate the monthly density, reciprocity and average weighted clustering coefficient...

This paper investigates the influence that information asymmetry may possess upon the future volatility, liquidity, market toxicity, and returns within cryptocurrency markets. We use the adverse selection component of the effective spread as a proxy for overall information asymmetry. Using order...

We examine the systematic impact of broker network connectivity on future returns in a centralized limit order book (CLOB) market. For all stocks traded in Borsa Istanbul between March 2005 and November 2015, we estimate network density, reciprocity, and average weighted clustering coefficients...